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VIX Seasonality
August 5, 2024 • Posted in Calendar Effects, Volatility Effects
Does the CBOE Volatility Index (VIX) exhibit exploitable seasonality? To investigate, we calculate by calendar month and compare average monthly:
- Change in VIX.
- Return for ProShares VIX Short-Term Futures ETF (VIXY).
- Return for ProShares Short VIX Short-Term Futures ETF (SVXY).
Using monthly closes of VIX since January 1990, monthly split-adjusted closes for for VIXY since inception in January 2011 and monthly split-adjusted closes for SVXY since inception in October 2011, all through June 2024, we find that: (more…)
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